As long as you give it permission to access and change data in Health, it's all (steps, walking & running distance, heart rate, active calories, etc.) right there in Health. I know this first-hand, as a proud Apple Watch owner since April 24.

I imagine the WATCH will keep as much data as its onboard storage will allow, which is several gigabytes. So, caching Health data really shouldn’t be an issue for most intents and purposes.
Since the title of the question is about the disadvantages of Airplane mode, know that placing your WATCH in airplane mode will preclude you from connecting to the Internet. Therefore, any feature that requires an active Internet connection will not work. Siri comes to mind.
Finally, since the Bluetooth antenna is also disabled, you will be unable to connect a set of Bluetooth headphones, or an external heart rate monitor. Any app that requires an iPhone connection will not work either, meaning all watchOS 1 apps, as well as many, if not most, watchOS 2 apps. GPS via your iPhone will also cease to function.
Enabling Airplane mode thus disables most of the features of your WATCH. On the other hand, there aren’t too many advantages to enabling it. You might see some gains in battery life, though most of that will come from not being able to use your WATCH for a whole lot of things. But if you weren’t using your WATCH a lot to begin with (outside of activity tracking), then battery life is more than adequate to last you an entire day.
Even if you are on a marathon hiking trip, you will defeat much of the purpose of tracking that workout anyway, since the lack of GPS will result in less accurate distance measurements. In that situation, it would be preferable to turn on Power Saving Mode
under Apple Watch → Workout.
Best Answer
There's no artificial limit imposed on how long the Apple Watch can remain away. When the Apple Watch reconnects to the iPhone, it will sync any data which is not on the iPhone as usual.
The Apple Watch has 8 GB of internal storage — whilst that won't all be available for Health data, Health only uses a very small amount of storage (~6 months for me has used 3.6 MB) so this isn't something to worry about.